Finance Commons^™

Three Essays On Quote Stuffing, Dealer Liquidity And Stub Quoting, Jared Frank Egginton

Electronic Theses and Dissertations

This dissertation consists of three essays on quote stuffing, dealer provided liquidity, and stub quoting. The first essay examines the impact that intense episodic spikes in quoting activity (frequently referred to as "quote stuffing") has on market conditions. We find that quote stuffing is pervasive with several hundred events occurring each trading day and that over 74% of US exchange traded securities experience at least one episode during 2010. We find that during periods of intense quoting activity stocks experience decreased liquidity, higher trading cost, and increased short term volatility. In the second we examine the role of the NASDAQ …

Investor Behavior Surrounding Trading Halts: Short Sales, Predation And Contagion Effects, Mary Celeste Funck

Electronic Theses and Dissertations

This dissertation is comprised of three essays that focus on the interaction between exchange-mandated trading halts and short selling activity in the financial markets. In the first essay, the behavior of short sellers is examined surrounding interruptions in trading to determine if informed short sellers alter their trading patterns prior to and/or following a trading halt. This investigation also addresses the impact of short sales on market quality for halted stocks surrounding periods of interrupted trading, by examining returns, price volatility, and spreads. The second essay investigates if a short-selling contagion effect exists for contemporaries of firms experiencing a trading …

The Impact Of A Letter Of Map Amendment On Flood Plain Property Value, James E. Larsen

Finance and Financial Services Faculty Publication

Substantial empirical evidence indicates properties across the United States that are located within a Special Flood Hazard Area (SFHA) sell at a discount compared to similar properties otherwise located. This result is also true in our sample. Researchers have suggested the price discount equals a combination of the present value of the required flood insurance premiums and the value of uninsurable costs. To identify the portion of the discount applicable to each component, analysts have been required to estimate applicable insurance premiums and to assume a discount rate. The present paper presents a methodology that does not require these prerequisites, …

Can Online Sentiment Help Predict Dow Jones Industrial Average Returns?, Aria K. Krumwiede

CMC Senior Theses

In this paper, we explore the relationship between a Global Mood Time Series, provided by Wall Street Birds, and the Dow Jones Industrial Average (DJIA) from April 2011 to December 2011. My econometric results show that there is no long run equilibrium relationship between the level of global mood and the level of the DJIA. These results apply to the whole period, as well as in the six-month subperiods. Furthermore, daily changes in global mood do not Granger cause DJIA returns. However, changes in global mood do appear to be useful in forecasting the volatility of the DJIA, and my …

Interest And Finance, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (2007). My theory of interest rate (Unpublished manuscript) (22-26_Inte... p. 2).
• Shaikh, A. (2012). Long bonds and interest rate (Unpublished manuscript) (22-26_Inte... p. 3).
• Shaikh, A. (2011). Bond rate of return (Unpublished manuscript) (22-26_Inte... p. 4).
• Shaikh, A. (2012). Points from interest rate theories (Unpublished manuscript) (22-26_Inte... p. 18).
• Panico, C. (1988). Interest and profit in the theories of value and distribution. St. Martin's Press (22-26_Inte... p. 16).
• Shaikh, A. (2012). Competition and finance (Unpublished manuscript) (22-26_Inte... p. 21).
• Shaikh, A. (2012). Long run data list (Unpublished dataset) (22-26_Inte... p. 40).
• Shaikh, A. (2009). …

Three Essays On Financial Development, Biniv K. Maskay

Theses and Dissertations--Economics

My dissertation investigates three separate issues pertaining to a country's financial development. The first essay provides an introduction to the three essays. The second essay examines the combined effect of financial development and human capital on economic growth. While both financial development and human capital are individually positively correlated with growth, the literature has not emphasized their combined effect on growth. In this essay, I analyze the extent to which the effect of financial development on growth depends on a country's level of human capital. Using dynamic panel difference and system GMM, as well as the pooled OLS, I find …

Finding Profitability Of Technical Trading Rules In Emerging Market Exchange Traded Funds, Austin P. Hallett

CMC Senior Theses

This thesis further investigates the effectiveness of 15 variable moving average strategies that mimic the trading rules used in the study by Brock, Lakonishok, and LeBaron (1992). Instead of applying these strategies to developed markets, unique characteristics of emerging markets offer opportunity to investors that warrant further research. Before transaction costs, all 15 variable moving average strategies outperform the naïve benchmark strategy of buying and holding different emerging market ETF's over the volatile period of 858 trading days. However, the variable moving averages perform poorly in the "bubble" market cycle. In fact, sell signals become more unprofitable than buy signals …

Interest Rates Nc, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Jacobs, D. P., Farwell, L. C., & Neave, E. H. (1972). Financial institutions (5th ed.). Richard D. Irwin.
• Shaikh, A. (2012). On Wall Street, the rising cost of high-speed trading (Commentary note on Popper).
• Popper, N. (2012). On Wall Street, the rising cost of high-speed trading. The New York Times, p. A1.
• Mramor, D., & Lončarski, I. (n.d.). Traditional, modern and new approach to finance (Unpublished manuscript). University of Ljubljana.
• Kohn, M. (1991). Money, banking, and financial markets. The Dryden Press.
• O'Brien, T. J. (1991). A simple binomial no-arbitrage model of the term structure, with …

Mexico Consensus Economic Forecast, Volume 15, Number 1, Thomas M. Fullerton Jr., Adam G. Walke

Departmental Papers (E & F)

No abstract provided.

The Effect Of Executive Compensation On Firm Performance Through The Dot-Com Bubble, Maxwell J. Chambers

CMC Senior Theses

This thesis examines firm performance through the dot-com bubble through the lens of executive compensation. Hypotheses based on the theoretical literature of Bolton, Scheinkman and Xiong (2006) as well as Bertrand and Mullainathan (2001) in regards to management compensation in a speculative bubble motivate three regression models with differing market-cap-growth based dependent variables and specific compensation variables. Regression analyses test the models using public compensation and security data from S&P's Execucomp and Compustat databases. Synthesizing regression results show that stock option vesting schedules and executives' status on the board of directors may significantly affect firm performance through the dot-com bubble, …

Aggregated Versus Disaggregated Forward Looking Information: Effects On Risk Taking, Rishabh Parekh

CMC Senior Theses

In previous research, aggregation of returns has been found as a way to counteract the risk averse behavior that is the result of investors' myopia. This paper expands the study of aggregation by analyzing its effect on forward looking probabilities. Namely, through the disaggregation of future information, subjects become myopic and trade with varying risk preferences. In an experimental market, subjects trading securities with disaggregated forward looking information are found to 'buy high and sell low', while subjects trading the same securities, but with aggregated information, trade with more consistent risk preferences.

A Strategic Model For Ingo Accountability Systems, Sarah Elizabeth Wardwell

Dissertations and Theses

This thesis reconstructs the concept of International Non-Governmental Organization (INGO) accountability to beneficiaries through the development of a strategic model for INGO accountability to beneficiaries. It works through the history and arguments surrounding the rise of the debate around whether INGOs should be held accountable to their beneficiary populations. Unique definitions are developed for the terms and concepts related to this topic and a framework for understanding the strategic model for INGO accountability to beneficiaries is outlined: Accountable to whom? Accountable for what? Accountable how? A practical example of an internal assessment for measuring an INGO's accountability to beneficiaries is …

G-20 Summit And Debt Crisis Of Europe, Badar Alam Iqbal

Business Review

Europe is under debt threat, facing the biggest crisis of uncertainty. If Euro fails, Europe fails. Since the Second World War, this is the hardest hour for Europe. One of the biggest limitations of global integration of EU is that small and weak countries could not fall in line with strong economies. This crisis is the example in this regard. The recent summit at Cannes has failed in giving concrete solution to the debt crisis especially in case of Greece, Italy, Portugal, Ireland and Spain. The crisis in Greece and ltaly cost the resignations of two popular Prime Ministers. The …

What Are Analysts Really Good At?, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi. Zach

Research Collection Lee Kong Chian School Of Business

Sell-side analysts employ different benchmarks when defining their stock recommendations. Forexample, a ‘buy’ for some brokers means the stock is expected to outperform its peers in the same sector(“industry benchmarkers”), while for other brokers it means the stock is expected to outperform themarket (“market benchmarkers”), or just some absolute return (“total benchmarkers”). We use thesebenchmarks to analyze the role of stock picking, industry picking and market timing in contributing to theperformance of stock recommendations. We are able to do so given that different benchmarks suggest theuse of different sets of abilities. Analysis of the relation between analysts’ recommendations and theirlong-term …

Loose Notes On Marx, Interest Rates, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Shaikh, A. (n.d.). Notes on natural deposit rate and travel itinerary to Thessaloniki (Handwritten notes) (22-32_Loos... p. 2).
• Shaikh, A. (n.d.). Notes on gold lending, bank markups, and interest rate theories (Handwritten notes) (22-32_Loos... p. 3).
• Lutz, F. A. (1968). The theory of interest. D. Reidel Publishing Company (22-32_Loos... p. 3).
• Shaikh, A. (2012). Notes on interest rates (Unpublished manuscript) (22-32_Loos... p. 14)

U.S. Cross-Listing, Institutional Investors, And Equity Returns, Yui Law

Lingnan Theses

Cross-listing refers to firms listing their equities on more than one stock exchange. Cross-listing is an interesting topic of international finance. This is because along with the deeper integration of the global financial market, we should see lesser importance of geographic factors. Thus, the motivations and effects of listing a firm on exchanges of different regions should have essential economic implications. The reputation bonding hypothesis suggests that U.S. cross-listing improves the information environment of a firm because of the higher disclosure standard and more analyst coverage. The legal bonding hypothesis argues that U.S. cross-listing improves the investor protection and corporate …

Interest Rates Empirical Evidence, Anwar Shaikh Phd

Archives of Anwar Shaikh

This collection includes:

• Gibson's paradox by Anwar Shaikh, PhD (Unpublished manuscript, June 13, 2007) (22-35_Inte... p. 4)
• Interest rate empirical patterns by Anwar Shaikh, PhD (Unpublished manuscript, June 13, 2007) (22-35_Inte... p. 9)
• Our interest rate theory by Anwar Shaikh, PhD (Unpublished manuscript, June 13, 2007) (22-35_Inte... p. 11)
• Bond arbitrage empirical test by Anwar Shaikh, PhD (Unpublished manuscript, July 20, 2007) (22-35_Inte... p. 19)
• Real long term bond prices by Anwar Shaikh, PhD (Unpublished handwritten notes, August 7, 2012) (22-35_Inte... p. 26).

Industry Contagion In Loan Spreads, Michael G. Hertzel, Micah S. Officer

Finance Faculty Works

Spreads on new and renegotiated corporate loans are significantly higher when the loan originates (or is renegotiated) in the two years surrounding bankruptcy filings by industry rivals. This industry-specific contagion is particularly severe in the middle of industry bankruptcy waves. Furthermore, this contagion in loan spreads is mitigated in concentrated industries, consistent with the hypothesis and evidence in Lang and Stulz (1992) that bankruptcy filings in concentrated industries can have positive consequences for rivals (increased market share and/or power). There is also some evidence that contagion affects non-spread terms in loan contracts.

An Institutional Perspective And The Role Of The State For Chinese Ofdi, Bing Ren, Hao Liang, Ying Zheng

Research Collection Lee Kong Chian School Of Business

Napoleon called China a ‘sleeping dragon’, but recent economic developments as China enters the twenty-first century show that the dragon is awakening. China has maintained strong economic growth since 1979 and sustained a GDP increase of more than 9 percent over the years. The total volume of economic output increased from 2.8 percent in 1970 to 7.23 percent in 2008, ranking China as the third largest economy in the world (United Nation Statistics Division Statistical Databases). China launched its ‘Go Global’ policy in 1999 to encourage highperforming Chinese firms to invest abroad and upgrade their global competence. Since then, outward …

Essays On An Asean Optimal Currency Area, Kathryn J. Whittaker Huff

University of New Orleans Theses and Dissertations

Many regions of the world would like to replicate the financial and monetary integration of the European Monetary Union (EMU). Member countries of the Association of Southeast Asian Nations (ASEAN) have shown an interest in such an arrangement. ASEAN is a political, cultural, and economic association that includes Brunei, Cambodia, Indonesia, Laos, Malaysia, Myanmar, the Philippines, Singapore, Thailand, and Vietnam. Many of these nations are experiencing rapid economic development while others are still relatively poor and under developed. As such, they appear to be an unlikely group for currency unification. Older studies suggest that multiple currency union groupings may be …